THE FILLING: Mix 3/4 cups sugar, 1 egg, 3 tablespoon flour and 3/4 cup milk, and cook until thick. Let cool. Then add 1 cup shortening, 1/2 stick butter, 1/2 cup Crisco and 1 tsp. vanilla. Mix shortening with pudding with mixer. Best to make filling 1st and have it chilling in the fridge. When cookies are cooled, squeeze the filling in the cookies.
THE COOKIE: Mix 3 cups flour, 1 1/4 cups water, 2 tablespoons of sugar and 2 eggs yolks. Mix as you would pie dough and refrigerate 1 hour. Roll out like for pie dough and spread with 1/2 cup Crisco.
Fold over and put in frig. for 1 hour. Repeat this step 3 more times.
When ready to bake, roll out for baking. Take 1/4 of dough roll 1/8 inch thick and 1/2 inch wide. Wrap around clothes pins. Wrap loose and make sure to overlap the edges. Bake until brown at about 400°F about 10 minutes. Take off clothes pin as soon as they come out of the oven and let cool.